Extreme risk spillovers from commodity indexes to sovereign CDS spreads of commodity dependent countries : a VAR quantile analysis
Massaporn Cheuathonghua, Maria E. de Boyrie, Ivelina Pavlova, Jutamas Wongkantarakorn
| Year of publication: |
2022
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|---|---|
| Authors: | Massaporn Cheuathonghua ; DeBoyrie, Maria Eugenia ; Pavlova, Ivelina ; Jutamas Wongkantarakorn |
| Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 80.2022, p. 1-16
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| Subject: | Commodities | Extreme spillover | Sovereign CDS | Tail distribution | VAR for VaR | Kreditderivat | Credit derivative | Spillover-Effekt | Spillover effect | VAR-Modell | VAR model | Risikomaß | Risk measure | Länderrisiko | Country risk | Welt | World | Schock | Shock | Volatilität | Volatility | Statistische Verteilung | Statistical distribution | Rohstoffderivat | Commodity derivative | Öffentliche Schulden | Public debt |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.irfa.2022.102033 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013366188